This publication compares several interesting, representative and illustrative rating systems and discusses the underlying theoretical pay-as-you-go models and funded schemes. It does not intend to define an ideal system but to work out the strengths and weaknesses of each model and to compare...

In this paper we study the asymptotic behaviour of the joint distribution of reinsurance aggregate claim amounts for large values of the retention level under various dependence assumptions.

Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...

In this paper we compare, from the point of view of reinsurance, the severalrisk adjusted premium calculation principles considered in Wang (1996b).We conclude that, with the exception of the proportional hazard (PH)premium calculation principle, all the others behave in a way similar to...

Largest claims reinsurance covers are reconsidered. Allowing the original...

The objective of this report is to set out the full process and product of the IAIS Task Force (Task Force Re)'s work in response to the request from the Financial Stability Forum (FSF) to improve the transparency of the global reinsurance market and risk-oriented disclosures of individual...

We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...

In 2002 losses from natural catastrophes and man-made losses cost non-life insurers USD 13.5 bilion across the globe. This was markedly below the previous year´s level of USD 35 billion. While natural catastrophes caused losses of USD 11.4 billion, property losses from man-made disasters...

Demand for ART products is growing, according to Swiss Re's latest sigma study, The picture of ART, particularly in areas where traditional risk transfer is either expensive or unavailable. The report creates transparency in a market segment that has rapidly grown in complexity over recent...

For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...